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Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets
16 references·0 citing·43 second hop
Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets (2014)Liquidity, information, strategic trading…The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…State and Trends of the Carbon Market 2011 (2011)State and Trends of the Carbo…Informed traders and limit order markets (2009)Informed traders and limit or…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Liquidity and Market Efficiency (2007)Liquidity and Market Efficien…Price Discovery and Trading After Hours (2003)Price Discovery and Trading A…Order aggressiveness in limit order book markets (2002)Order aggressiveness in limit…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Price Dynamics in Limit Order Markets (1998)Limit Order Book as a Market for Liquidity (2005)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)Expected stock returns and volatility (1987)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)A Theory of Auctions and Competitive Bidding (1982)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)Stock market liquidity and firm value☆ (2009)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Beyond the public and private divide: remapping transnational climate governance in the 21st century (2008)Subprime catalyst: Financial regulatory reform and the strengthening of US carbon market governance (2012)Governing Climate Change (2018)
this work references cited by second hop

References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2011State and Trends of the Carbon Market 2011428 cited
  • 1992Trading Mechanisms in Securities Markets426 cited
  • 2002Order aggressiveness in limit order book markets409 cited
  • 2003Price Discovery and Trading After Hours407 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2009Informed traders and limit order markets317 cited

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